Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0129 |
| Annualized Std Dev | 0.2050 |
| Annualized Sharpe (Rf=0%) | 0.0631 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1601 |
| Quartile 1 | -0.0038 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0048 |
| Maximum | 0.2540 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0129 |
| Skewness | 0.2030 |
| Kurtosis | 52.2921 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0095 |
| Gain Deviation | 0.0102 |
| Loss Deviation | 0.0120 |
| Downside Deviation (MAR=210%) | 0.0138 |
| Downside Deviation (Rf=0%) | 0.0094 |
| Downside Deviation (0%) | 0.0094 |
| Maximum Drawdown | 0.5811 |
| Historical VaR (95%) | -0.0153 |
| Historical ES (95%) | -0.0314 |
| Modified VaR (95%) | -0.0067 |
| Modified ES (95%) | -0.0067 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2008-11-21 | 2010-03-29 | -0.5811 | 710 | 373 | 337 |
| 2013-03-11 | 2020-03-23 | NA | -0.5659 | 2023 | 1772 | NA |
| 2004-01-26 | 2004-05-10 | 2006-10-11 | -0.2659 | 685 | 74 | 611 |
| 2001-07-02 | 2002-08-06 | 2003-04-01 | -0.2354 | 437 | 273 | 164 |
| 1999-05-05 | 2000-12-04 | 2001-06-08 | -0.2249 | 530 | 402 | 128 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0.7 | 0.7 | 1.3 | 0.6 | -0.6 | -0.6 | -0.7 | -1.3 | 0 | -0.7 | -1.4 | 0 | -2.1 |
| 2000 | 1.4 | -0.7 | 1.4 | 0 | 1.5 | 0 | 1.4 | 1.4 | 0.7 | -2.2 | 0 | 0.7 | 5.6 |
| 2001 | -0.2 | 0.3 | 0 | 0.2 | 0.3 | 0.1 | -1.8 | 0.6 | 0.5 | -0.5 | 0.6 | 0.2 | 0.3 |
| 2002 | 0.3 | -0.1 | -0.2 | -0.6 | 0.1 | 1.9 | -0.2 | 0.4 | 1.1 | 0.4 | 0.1 | -0.8 | 2.5 |
| 2003 | 0 | 0.4 | 0.9 | 1.1 | 0.5 | -0.3 | -2.9 | 0.5 | -0.9 | 0.2 | 0.5 | -0.2 | -0.2 |
| 2004 | -0.7 | 0.3 | 1 | -0.5 | 0.5 | -0.1 | 1.1 | -1.1 | -0.1 | 0.2 | -0.4 | 0.7 | 1 |
| 2005 | 0.2 | -0.2 | -0.5 | -0.3 | -0.2 | 0.6 | 0.1 | 0.6 | 0.4 | 0.1 | -0.2 | 1 | 1.6 |
| 2006 | -0.3 | -1.3 | 0 | 0.2 | 0.1 | -0.2 | 0.1 | 0.2 | -0.2 | -0.4 | 0.1 | 0 | -1.9 |
| 2007 | -0.3 | -1 | -0.1 | -0.1 | -0.1 | 0.2 | -2.6 | 1 | 0.5 | 0.4 | 0.5 | 0.6 | -1 |
| 2008 | 0.5 | 0.1 | 1.9 | 0.2 | -0.4 | -2.4 | 1.3 | 1 | 2.2 | 0.6 | -4.6 | 0.1 | 0.3 |
| 2009 | -0.5 | -3.3 | 0.7 | 2.8 | 2.8 | 1.4 | 0.3 | 0.1 | -0.5 | -3.3 | 1.1 | 0.2 | 1.6 |
| 2010 | 1.2 | 1.3 | 0.8 | -1 | -0.2 | -1.8 | 0 | -0.6 | 1 | 0.9 | -0.8 | 0.9 | 1.6 |
| 2011 | 0.6 | 0.5 | 0.5 | -0.1 | -0.7 | -0.1 | 3 | 0 | -4.4 | -0.9 | -0.6 | -0.6 | -2.9 |
| 2012 | 0 | 0.9 | -0.7 | 0.3 | -1.3 | -0.1 | -1.3 | -0.1 | 1.2 | 0.4 | -0.2 | -0.6 | -1.4 |
| 2013 | 0.5 | 0.8 | 0.4 | -0.5 | -3.7 | -0.6 | -0.5 | 0.2 | -0.1 | 0.3 | 0.5 | -1.2 | -4 |
| 2014 | 0.3 | -0.3 | -0.1 | 0.3 | 0.8 | -0.3 | -0.2 | 0.5 | -0.3 | 0.7 | -0.6 | 0.9 | 1.7 |
| 2015 | -0.2 | 0.2 | 0.2 | 0.3 | 0.1 | -0.3 | 0.7 | 0.2 | -0.8 | 1.1 | 0.3 | 0.5 | 2.1 |
| 2016 | 0.1 | 0.8 | 0.4 | 0.3 | -0.7 | 0.4 | -0.1 | -0.1 | -0.4 | -0.1 | -0.2 | 0.2 | 0.7 |
| 2017 | 0 | -0.4 | -0.2 | -0.1 | 0.9 | 0.9 | 0 | 0.3 | 0.4 | 0.5 | 2.1 | -0.2 | 4.3 |
| 2018 | -0.2 | -0.4 | 0.3 | 0.4 | 0.3 | -0.2 | -0.2 | 0.7 | 0.4 | -0.4 | -0.2 | -0.8 | -0.1 |
| 2019 | 0.3 | 0.1 | 0.6 | 0.1 | -1.5 | 0.6 | -0.4 | -0.8 | -0.3 | 0.6 | -0.2 | 0.3 | -0.7 |
| 2020 | -0.5 | -2.5 | -2.6 | -1 | 0.9 | 1.2 | 0.4 | 0.5 | -0.2 | -0.3 | 0.5 | -0.1 | -3.7 |
| 2021 | 0.2 | 0.9 | 0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.7 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
